Relationship Lab

How a series has moved with others: the correlation of daily changes (% for prices, bp for rates) over 1 and 3 years, the beta, a rolling correlation and whether one tends to move first. Correlation is not causation, and it changes over time.

Consumer discretionary (XLY) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
S&P 500 spx	0.83	0.65	0.77	252	0.62	+0.03	1.16	scatter
Nasdaq 100 ndx	0.69	0.43	0.64	252	0.57	−0.15	0.62	scatter
Communication services (XLC) sec_us_communication	0.40	0.62	0.64	252	0.75	−0.12	0.76	scatter
Industrials (XLI) sec_us_industrials	0.54	0.26	0.51	252	0.68	−0.42	0.57	scatter
Financials (XLF) sec_us_financials	0.44	0.50	0.50	252	0.67	−0.17	0.65	scatter
Materials (XLB) sec_us_materials	0.36	0.36	0.47	252	0.61	−0.25	0.51	scatter
Brent brent	−0.44	−0.54	−0.42	252	−0.29	−0.26	−0.15	scatter
UST 10YR ust10y	−0.62	−0.36	−0.37	248	−0.14	−0.23	−0.11	scatter
PHLX Semiconductor (SOX) sox	0.47	0.04	0.37	252	0.41	−0.37	0.16	scatter
Copper copper	0.48	0.31	0.33	252	0.31	0.00	0.23	scatter
Bitcoin btc	0.43	0.23	0.32	251	0.29	−0.06	0.14	scatter
Real estate (XLRE) sec_us_real_estate	0.62	0.35	0.32	252	0.46	−0.11	0.43	scatter
DXY dxy	−0.54	−0.38	−0.31	252	−0.12	−0.26	−1.15	scatter
UST 2YR ust2y	−0.50	−0.28	−0.29	248	−0.09	−0.19	−0.07	scatter
Energy (XLE) sec_us_energy	−0.20	−0.25	−0.28	252	0.19	−0.44 ⇄	−0.24	scatter
Health care (XLV) sec_us_healthcare	0.06	0.21	0.27	252	0.38	−0.18	0.33	scatter
Gold gold	0.47	0.36	0.20	252	0.13	+0.22	0.13	scatter
Consumer staples (XLP) sec_us_staples	0.12	0.33	0.18	252	0.26	+0.07	0.22	scatter
LQ45 lq45	0.29	0.06	0.09	233	0.06	0.00	0.07	scatter
INDOGB 10YR id10y	0.14	−0.09	−0.08	203	−0.04	−0.05	−0.01	scatter
JCI (IHSG) jci	0.28	0.01	0.06	233	0.05	−0.04	0.05	scatter
USD/IDR usdidr	−0.18	−0.01	−0.05	251	−0.06	+0.05	−0.11	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter

Compared with the headline cross-asset series and the series in the same catalog category and country. Changes are matched on common dates. Beta = change in Consumer discretionary (XLY) per unit change in the other series (least squares, 1 year). Amber: fewer than 20 common changes (hover a value for its n). Stability: the 3-month correlation minus the 3-year one; ⇄ marks opposite signs. A change in correlation describes the past; it does not say the relationship has broken or will return. Data ↓

Consumer discretionary (XLY) · S&P 500

20 60 120 252

Rolling correlation of daily changes over the last 60 common readings, last 3 years.

Who moves first? (1 year)

Lag (readings)	-10	-9	-8	-7	-6	-5	-4	-3	-2	-1	+0	+1	+2	+3	+4	+5	+6	+7	+8	+9	+10
correlation	0.15	−0.01	−0.04	−0.12	−0.05	0.14	−0.01	−0.07	−0.09	0.00	0.77	−0.01	−0.06	0.06	0.10	0.09	0.01	−0.15	−0.10	−0.09	0.03

Lag +k: today's change in Consumer discretionary (XLY) against the change in S&P 500 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.